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Sovereign Debt Crises — Currency, Rates, and Risk-Asset Cross-Currents

Dollar, long bonds, gold, and EU equities after eurozone, US-rating, and other sovereign credit events

Sovereign-credit events have a famously non-linear relationship with the dollar, long Treasuries, gold, and European equities. We assembled 7 historical episodes to quantify what your portfolio is realistically priced to do.

7 historical samples
Data updated 2015-07-06
Sources SEC · central banks · Reuters · GDELT
Method historical analogs + Monte Carlo
HISTORICAL ANALOGS

Asset performance distribution after the event

Each row is one asset; the three columns are median returns at 1, 5, and 30 trading days after the event. Sample size in parentheses. Green = positive, red = negative.

Asset T+1 median T+5 median T+30 median
SPY S&P 500
+0.01%
range -0.7% / +2.2% · n=7
+0.68%
range -2.4% / +3.0% · n=7
+3.36%
range -13.2% / +5.9% · n=7
TLT 20+yr Treasuries
-0.35%
range -1.6% / +0.8% · n=7
+0.21%
range -1.5% / +2.8% · n=7
+4.33%
range -4.6% / +14.1% · n=7
GLD Gold
+0.52%
range -0.6% / +1.3% · n=7
+0.39%
range -2.1% / +2.0% · n=7
+0.91%
range -4.9% / +11.7% · n=7
UUP USD Index
-0.08%
range -0.9% / +0.6% · n=7
+0.18%
range -1.1% / +1.7% · n=7
+1.68%
range -1.6% / +4.8% · n=7
EEM Emerging Markets
+0.00%
range -2.5% / +2.6% · n=7
-0.88%
range -2.1% / +5.0% · n=7
-2.74%
range -14.2% / +4.2% · n=7
XLF Financials
-0.07%
range -1.5% / +2.1% · n=7
+0.75%
range -3.3% / +3.7% · n=7
+2.28%
range -18.3% / +9.3% · n=7
QQQ Nasdaq 100
+0.52%
range -0.7% / +2.0% · n=7
+0.53%
range -2.3% / +4.3% · n=7
-0.58%
range -10.7% / +6.8% · n=7
IEF 7-10yr Treasuries
-0.01%
range -0.9% / +0.3% · n=7
-0.30%
range -1.0% / +1.4% · n=7
+1.34%
range -2.3% / +6.7% · n=7
XLU Utilities
+0.14%
range -0.4% / +2.0% · n=7
+0.32%
range -1.1% / +1.1% · n=7
+2.01%
range -4.7% / +6.2% · n=7
SPY S&P 500
T+1
+0.01%
-0.7 / +2.2
T+5
+0.68%
-2.4 / +3.0
T+30
+3.36%
-13.2 / +5.9
TLT 20+yr Treasuries
T+1
-0.35%
-1.6 / +0.8
T+5
+0.21%
-1.5 / +2.8
T+30
+4.33%
-4.6 / +14.1
GLD Gold
T+1
+0.52%
-0.6 / +1.3
T+5
+0.39%
-2.1 / +2.0
T+30
+0.91%
-4.9 / +11.7
UUP USD Index
T+1
-0.08%
-0.9 / +0.6
T+5
+0.18%
-1.1 / +1.7
T+30
+1.68%
-1.6 / +4.8
EEM Emerging Markets
T+1
+0.00%
-2.5 / +2.6
T+5
-0.88%
-2.1 / +5.0
T+30
-2.74%
-14.2 / +4.2
XLF Financials
T+1
-0.07%
-1.5 / +2.1
T+5
+0.75%
-3.3 / +3.7
T+30
+2.28%
-18.3 / +9.3
QQQ Nasdaq 100
T+1
+0.52%
-0.7 / +2.0
T+5
+0.53%
-2.3 / +4.3
T+30
-0.58%
-10.7 / +6.8
IEF 7-10yr Treasuries
T+1
-0.01%
-0.9 / +0.3
T+5
-0.30%
-1.0 / +1.4
T+30
+1.34%
-2.3 / +6.7
XLU Utilities
T+1
+0.14%
-0.4 / +2.0
T+5
+0.32%
-1.1 / +1.1
T+30
+2.01%
-4.7 / +6.2

✓ Live example · Most recent event

希腊公投否决救助，Grexit 风险高峰 (2015-07-06) after SPY — real close prices for
Event day 2015-07-06 SPY closed at $172.79 30 calendar days later 2015-08-20 closed at $170.50 Math: ($170.50 ÷ $172.79) − 1 = -1.33%
You can replicate this with yfinance.download("SPY", start="2015-07-06", end="2015-08-20") yourself.
Or see all asset returns from this event →
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EVENT TIMELINE

Past events in this category

Every number on this page is aggregated from the events below. Click an event to see its per-asset returns, or click a source to verify the original report.

2015-07-06
希腊公投否决救助，Grexit 风险高峰 Source →
2012-07-26
Draghi 'whatever it takes' 讲话 Source →
2012-06-11
西班牙银行业请求 1000 亿欧元援助 Source →
2011-11-09
意大利国债收益率破 7% (救助阈值) Source →
2011-07-21
欧盟峰会通过希腊第二轮援助 Source →
2010-11-22
爱尔兰接受 850 亿欧元援助 Source →
2010-04-23
希腊正式请求 IMF/欧盟救助 Source →

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Methodology: historical analogs are built from a curated event list and yfinance total-return data. The Monte Carlo uses joint sampling — entire asset-return vectors drawn from the same historical event so cross-asset correlations are preserved. This page is informational and does not constitute investment advice.

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